sacrificial lamb
Correction to my earlier posting:
That should create a sequential day variable for only market days
that counts the market days.
tsset nummer tradingday <====
g return = log(f/L.f)
That should work on the market days available for each firm.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
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